When you install WMP9, it will open the first time you reboot so you can configure it. After you have set your audio and video preferences, close it. It shouldn't open again until you do it.
I have a new computer on which I installed XP prof. Doing the online "windows update" I have tried installing media player 9 and when I do it comes up with the reboot (ie I have to close it down manually every time I start my PC). I tried to remove it from the area where you put programs that you want to start automatically on reboot but it wasn't listed there. Finally I did a clean install and just left media player out of the updating. Is there a way to install it without having it start up automatically??